Introduction to Stochastic Analysis, WS 2012/13

Schedule	Tuesday 08-10 (Zeichensaal) and Friday 10-12 (LWK 1.008)
Exercices	Group 1: Wednesday 16-18; N0.007 Group 2: Friday 12-14: N0.003 Tutor: Raphael Zimmer Assistant: Nicola Kistler (LWK 3.042)
Examination	Oral examination in the Room LWK 3.047, schedule and further informations.
Second examination	Oral examination in the Room LWK 3.047, schedule and further informations.
	Language: can be freely chosen between German and English (decide before starting the language you want to use).
	Admission: 50% of the exercices points

Content

• Brownian Motion: the fil rouge of this lecture
• Stopping times and continuous martingales
• Semimartingale
• Itô integral
• Itô formula and applications
• Transformations of the Brownian Motion: Girsanov, Feynman-Kac formulas
• Stochastic differential equations (strong solutions)

References

• Book: I. Karatzas und S. Shreve, Brownian Motion and Stochastic Calculus, Springer
• Here are my scanned lecture notes of 2009 (in German)